Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0386
Annualized Std Dev 0.2859
Annualized Sharpe (Rf=0%) 0.1351

Row

Daily Return Statistics

Close
Observations 3267.0000
NAs 1.0000
Minimum -0.1719
Quartile 1 -0.0074
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0087
Maximum 0.1546
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0180
Skewness -0.3457
Kurtosis 9.9471

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0128
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.6422
Historical VaR (95%) -0.0264
Historical ES (95%) -0.0436
Modified VaR (95%) -0.0274
Modified ES (95%) -0.0497
From Trough To Depth Length To Trough Recovery
2008-05-23 2008-12-01 2010-08-20 -0.6422 566 133 433
2018-02-27 2020-03-16 NA -0.5171 772 516 NA
2013-05-09 2016-01-07 2018-01-04 -0.4274 1174 672 502
2011-04-21 2011-10-03 2012-03-01 -0.3019 217 114 103
2010-11-09 2011-02-10 2011-04-04 -0.1599 101 65 36

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 3.5 1.2 0.7 -2.3 1.9 -3 -1.6 1.2 -10 0.3 -8.4
2009 0 -1.1 0.9 0 5.1 3.1 -0.7 -1.2 0.1 -4.7 3.1 -1.2 3.1
2010 2.5 1.6 2.3 -0.9 0.1 0.1 1 2.8 1.2 1.5 3.4 0.4 17
2011 1 -0.8 2.1 0.8 -3 0.4 0.3 0.2 -3 -2.6 -0.9 0.3 -5.1
2012 1.7 1.2 -0.4 0.5 -3.7 2.8 0.1 1.9 0.8 1.9 0.7 1.8 9.5
2013 2.3 1.1 -0.7 -1.1 -3.7 -0.5 2.7 -0.2 4.7 -0.4 -0.1 0.7 4.7
2014 1.4 -0.4 1.9 0 -0.7 0.8 1.6 0 -1.4 0.8 0 0 4
2015 -1.6 -0.2 1.6 0.3 -0.5 0.2 2.9 -1.4 -1.2 0 0.2 -0.2 0
2016 -1 2.3 0.1 0.3 -0.7 0.9 -1.9 0.3 0.6 -0.1 -0.1 -0.4 0.3
2017 -0.2 1.4 -0.2 0.2 0.4 0.5 0.1 0.6 1.2 -0.4 0.1 0.8 4.6
2018 -0.1 -0.3 0.3 -0.6 -0.4 0.1 0.9 0.5 0.3 2.2 0.2 0.2 3.5
2019 0 -1.6 0.8 -0.8 1.5 0.6 -1.5 0.6 -1 -0.1 -1.3 0.7 -2.2
2020 -1.2 -1 -4.8 -2.7 2.6 0.8 1 -0.7 0.7 -0.1 1.6 -0.7 -4.6
2021 1.7 3.2 0.9 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-03-28  50.2 SPY    132. -0.00960  -0.0043  -0.0485  -0.121   -0.0727    0.121    0.510 GLD    91.9 -0.0169    0.0219
2 2008-03-31  50.2 SPY    132.  0.0035   -0.0204  -0.0358  -0.106   -0.0704    0.132    0.514 GLD    90.4 -0.016     0.0034
3 2008-04-01  51.9 SPY    137.  0.0352    0.0131   0.0208  -0.0726  -0.038     0.156    0.576 GLD    86.9 -0.0393   -0.0633
4 2008-04-02  51.0 SPY    137.  0.0007    0.0263   0.024   -0.065   -0.0384    0.159    0.613 GLD    89.3  0.0277   -0.0483
5 2008-04-03  50.8 SPY    137.  0.0025    0.0321   0.0305  -0.0544  -0.0463    0.167    0.593 GLD    89.4  0.0017   -0.0432
6 2008-04-04  50.8 SPY    137. -0.0011    0.0409   0.0229  -0.055   -0.0484    0.164    0.553 GLD    90.2  0.00930  -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart